4796数理金融中等数值题short

Infer Integrated Volatility Mass In HJM 6

题目

At one maturity bucket, the desk estimates the endpoint instantaneous forward volatility sigma(t,T)=0.015 and the HJM no-arbitrage drift alpha(t,T)=0.027. In the one-factor relation alpha(t,T)=sigma(t,T)*integral_t^T sigma(t,u) du, what value is implied for integral_t^T sigma(t,u) du?

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